Search found 3 matches
- Wed Aug 05, 2015 4:22 am
- Forum: ARCH and GARCH Models
- Topic: Beginner problems in DCC-GARCH
- Replies: 104
- Views: 1962387
Re: Beginner problems in DCC-GARCH
Thank you Sir, I am required to run M-GARCH model. I have run BEKK and it looks like this. MV-GARCH, BEKK - Estimation by BFGS Convergence in 113 Iterations. Final criterion was 0.0000067 <= 0.0000100 Monthly Data From 2001:05 To 2014:12 Usable Observations 164 Log Likelihood -668.1428 Variable Coef...
- Tue Aug 04, 2015 3:46 pm
- Forum: ARCH and GARCH Models
- Topic: Beginner problems in DCC-GARCH
- Replies: 104
- Views: 1962387
Re: Beginner problems in DCC-GARCH
Dear Tom,
Thank you once again so if DCC is not appropriate which model is?
Thank you once again so if DCC is not appropriate which model is?
- Tue Aug 04, 2015 8:13 am
- Forum: ARCH and GARCH Models
- Topic: Beginner problems in DCC-GARCH
- Replies: 104
- Views: 1962387
Re: Beginner problems in DCC-GARCH
Good Day Tom, I am indeed a beginner in DCC-GARCH and need encougement. I modelled a Univariate AR(1) mean models for each series, DCC model for the variance with the following codes and results. equation(constant) spq dstpr 1 equation(constant) bozq dboz 1 equation(constant) tbq tb1 1 group ar1 spq...